policy uncertainties. Correlation coefficients between stock and bond returns are positively related to total policy …This paper investigates dynamic correlations of stock-bond returns for different stock indices and bond maturities …. Evidence in the US shows that stock-bond relations are time-varying and display a negative trend. The stock-bond correlations …

the time-varying correlation of US stock and bond returns. Key ingredients are time-varying first and second moments of … macroeconomic volatility. This generates a positive correlation between dividend yields and nominal yields and between stock and … bond returns. High levels of macro volatility in the late 1970s and early 1980s caused stock and bond returns to comove …

. Notably, a predominantly negative correlation with bond yields and inflation becomes positive, while the opposite is true for …The nature of the relation between stock returns and the three monetary variables of interest rates (bond yields … shifting the pattern of behaviour. We show a change in the correlation between each of the three variables with stock returns …